Sequential Monte Carlo computation of the score and observed information matrix in state-space models with application to parameter estimation

Sequential Monte Carlo (SMC) methods are popular computational tools for Bayesian inference in non-linear non-Gaussian state-space models. For this class of models, we propose SMC algorithms to compute the score vector and observed information matrix recursively in time. We propose two different SMC implementations, one with computational complexity $\mathcal{O}(N)$ and the other with complexity $\mathcal{O}(N^{2})$ where $N$ is the number of importance sampling draws. Although cheaper, the performance of the $\mathcal{O}(N)$ method degrades quickly in time as it inherently relies on the SMC approximation of a sequence of probability distributions whose dimension is increasing linearly with time. In particular, even under strong \textit{mixing} assumptions, the variance of the estimates computed with the $\mathcal{O}(N)$ method increases at least quadratically in time. The $\mathcal{O}(N^{2})$ is a non-standard SMC implementation that does not suffer from this rapid degrade. We then show how both methods can be used to perform batch and recursive parameter estimation.

Semi-supervised video segmentation using tree structured graphical models

We present a novel, implementation friendly and occlusion aware semi-supervised video segmentation algorithm using tree structured graphical models, which delivers pixel labels alongwith their uncertainty estimates. Our motivation to employ supervision is to tackle a task-specific segmentation problem where the semantic objects are pre-defined by the user. The video model we propose for this problem is based on a tree structured approximation of a patch based undirected mixture model, which includes a novel time-series and a soft label Random Forest classifier participating in a feedback mechanism. We demonstrate the efficacy of our model in cutting out foreground objects and multi-class segmentation problems in lengthy and complex road scene sequences. Our results have wide applicability, including harvesting labelled video data for training discriminative models, shape/pose/articulation learning and large scale statistical analysis to develop priors for video segmentation. © 2011 IEEE.

The assembly of computational models for the collaborative development of virtual prototypes

In the context of collaborative product development, new requirements need to be accommodated for Virtual Prototyping Simulation (VPS), such as distributed processing and the integration of models created using different tools or languages. Existing solutions focus mainly on the implementation of distributed processing, but this paper explores the issues of combining different models (some of which may be proprietary) developed in different software environments. In this paper, we discuss several approaches for developing VPS, and suggest how it can best be integrated into the design process. An approach is developed to improve collaborative work in a VPS development by combining disparate computational models. Specifically, a system framework is proposed to separate the system-level modeling from the computational infrastructure. The implementation of a simple prototype demonstrates that such a paradigm is viable and thus provides a new means for distributed VPS development. © 2009 by ASME.

An Online Expectation-Maximization Algorithm for Changepoint Models

Changepoint models are widely used to model the heterogeneity of sequential data. We present a novel sequential Monte Carlo (SMC) online Expectation-Maximization (EM) algorithm for estimating the static parameters of such models. The SMC online EM algorithm has a cost per time which is linear in the number of particles and could be particularly important when the data is representable as a long sequence of observations, since it drastically reduces the computational requirements for implementation. We present an asymptotic analysis for the stability of the SMC estimates used in the online EM algorithm and demonstrate the performance of this scheme using both simulated and real data originating from DNA analysis.

An Online Expectation-Maximization Algorithm for Changepoint Models

Changepoint models are widely used to model the heterogeneity of sequential data. We present a novel sequential Monte Carlo (SMC) online Expectation-Maximization (EM) algorithm for estimating the static parameters of such models. The SMC online EM algorithm has a cost per time which is linear in the number of particles and could be particularly important when the data is representable as a long sequence of observations, since it drastically reduces the computational requirements for implementation. We present an asymptotic analysis for the stability of the SMC estimates used in the online EM algorithm and demonstrate the performance of this scheme using both simulated and real data originating from DNA analysis.

A review on slip models for gas microflows

Accurate modeling of gas microflow is crucial for the microfluidic devices in MEMS. Gas microflows through these devices are often in the slip and transition flow regimes, characterized by the Knudsen number of the order of 10-2∼100. An increasing number of researchers now dedicate great attention to the developments in the modeling of non-equilibrium boundary conditions in the gas microflows, concentrating on the slip model. In this review, we present various slip models obtained from different theoretical, computational and experimental studies for gas microflows. Correct descriptions of the Knudsen layer effect are of critical importance in modeling and designing of gas microflow systems and in predicting their performances. Theoretical descriptions of the gas-surface interaction and gas-surface molecular interaction models are introduced to describe the boundary conditions. Various methods and techniques for determination of the slip coefficients are reviewed. The review presents the considerable success in the implementation of various slip boundary conditions to extend the Navier-Stokes (N-S) equations into the slip and transition flow regimes. Comparisons of different values and formulations of the first- and second-order slip coefficients and models reveal the discrepancies arising from different definitions in the first-order slip coefficient and various approaches to determine the second-order slip coefficient. In addition, no consensus has been reached on the correct and generalized form of higher-order slip expression. The influences of specific effects, such as effective mean free path of the gas molecules and viscosity, surface roughness, gas composition and tangential momentum accommodation coefficient, on the hybrid slip models for gas microflows are analyzed and discussed. It shows that although the various hybrid slip models are proposed from different viewpoints, they can contribute to N-S equations for capturing the high Knudsen number effects in the slip and transition flow regimes. Future studies are also discussed for improving the understanding of gas microflows and enabling us to exactly predict and actively control gas slip. © Springer-Verlag 2012.

Model based control for closed loop testing of 1-D engine simulation models

1-D engine simulation models are widely used for the analysis and verification of air-path design concepts and prediction of the resulting engine transient response. The latter often requires closed loop control over the model to ensure operation within physical limits and tracking of reference signals. For this purpose, a particular implementation of Model Predictive Control (MPC) based on a corresponding Mean Value Engine Model (MVEM) is reported here. The MVEM is linearised on-line at each operating point to allow for the formulation of quadratic programming (QP) problems, which are solved as the part of the proposed MPC algorithm. The MPC output is used to control a 1-D engine model. The closed loop performance of such a system is benchmarked against the solution of a related optimal control problem (OCP). As an example this study is focused on the transient response of a light-duty car Diesel engine. For the cases examined the proposed controller implementation gives a more systematic procedure than other ad-hoc approaches that require considerable tuning effort. © 2012 IFAC.